Feedback structure based entropy approach for multiple-model estimation

The variable-structure multiple-model (VSMM) approach, one of the multiple-model (MM) methods, is a popular and effective approach in handling problems with mode uncertainties. The model sequence set adaptation (MSA) is the key to design a better VSMM. However, MSA methods in the literature have big room to improve both theoretically and practically. To this end, we propose a feedback structure based entropy approach that could find the model sequence sets with the smallest size under certain conditions. The filtered data are fed back in real time and can be used by the minimum entropy (ME) based VSMM algorithms, i.e., MEVSMM. Firstly, the full Markov chains are used to achieve optimal solutions. Secondly, the myopic method together with particle filter (PF) and the challenge match algorithm are also used to achieve sub-optimal solutions, a trade-off between practicability and optimality. The numerical results show that the proposed algorithm provides not only refined model sets but also a good robustness margin and very high accuracy.